Multi-Asset Trend Signals and Portfolio Models in a 2018 Market Selloff

Summary

This weekly report reviews market conditions following a sharp equity selloff and describes trend signals across U.S. and Chinese equities, Hong Kong shares, gold, and bonds. Its trend-following system indicated rising trends in U.S. equities and bonds, falling trends in A-shares and Hong Kong equities, and weakness or indecision in gold. Valuation measures put U.S. and Hong Kong equities at relatively high historical levels, bonds at low valuations, and A-shares and gold nearer normal ranges. The report used these signals to express short-term caution on equities while retaining a more constructive medium-term view of A-shares.

It also tracks Black-Litterman, risk-parity, and target-risk allocation models, reporting their returns over several periods and comparing some results with the CSI 300. These figures describe a historical episode, not a validated forward forecast. The authors note that economic conditions could support a medium-term equity recovery while near-term declines remained possible, and that bond allocation prospects did not necessarily imply strong trading returns. The analysis is based on historical data and may be affected by model specification error.

Key ideas

• The report combines trend signals and valuation indicators to assess several asset classes.
• Its signals were bullish for U.S. equities and bonds, and bearish for A-shares and Hong Kong equities.
• It distinguishes short-term caution on A-shares from a more optimistic medium-term assessment.
• Black-Litterman, risk-parity, and target-risk portfolios are tracked with historical return figures.
• The report warns that historical-data research and model choices can limit reliability.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.